Search results

That's just an interactive brokers account with a livevol front end.

The risk is 3 puts since it's a ratio + an itm put - I'd just sell three 160 puts instead. Fewer legs, lower cost basis if assigned, lower risk if SPY tanks, and unless there's a strong move up will perform better (and if expecting a strong move up, trade something else) Keep it simple, m2c.:)

Hope you're right:D I was mainly interested in if he looked at the relationship btwn $vix and futures since he seemed to be saying that today's inverse relationship wasn't significant (which I don't disagree with). In that respect, I don't think futures are 'that' expensive, but agreed that...

Just curious, do see any value in analyzing/comparing futures and a 'spot' measure? Historically I agree, using vix/futures as a signal isn't tradeable but I do use something similar in concept that's been helpful. For example, right now I agree with Caha in that futures seem expensive...

Right now you're saying sp is lower at EOM, so I'd just buy the Sept 27 vertical. Rolling the short is riskier if it goes against you, and imo won't help much if you're right. Unless you have a view of how it'll drop I'd just set it and forget it. m2c.

Good point, that's true in practice. FWIW though, I think the difference in performance of PUT/BXM comes from the difference in strikes. BXM is one strike above prevailing SP and PUT is one below. Looking at the CBOE data, PUT outperforms on down days and vice versa. And to jimmyjazz's...

Not sure what happened to that site. Found a couple that might help - can't comment on quality, don't use them, but they look to offer similar features. Though neither have the fun 'tree' feature. HTH. http://www.etfscreen.com/corr.php http://www.sectorspdr.com/correlation/

This is a good point and ideally would be a good way to go. To be fair though there are a number of charities that have large administrative and organizational expenses. Often times people would rather give to groups that have a large % of donations go towards programs supporting the...

Sounds like you've found an edge:D I'm certainly not a quant, and I didn't stay at a holiday inn express last night, but I don't get the math. Shouldn't it be 2K and 525?

Grandluxe you're out of your element! Dude, the Chinaman is not the issue here!

None of the above - I'd take DIA, because diamonds are forever.

Is 1.5 calculated on a per trade basis or on some given period of time (i.e. daily performance)? If it's a per trade basis on 1min bars after comms/slippage, that's pretty good imo. Seems like 200 trades on 27000 bars isn't a particularly high amount, and perhaps more importantly 27000 bars...

TLDR:p

That's a lot of edge - all of it. 100%. I've done stupider for less.

Dude, you are speaking my language - congratulations on being totally awesome. I get you. Don't ever change.

Yes, comparing luck to prediction was a way to create myths, however times have changed - myths are often created by comparing predictions to luck. Yes, it may sound backwards, however, it's really a breakthrough in the paradigm...it truly has evolved. You may not understand at first, but...

Nah, in this case you want to be outright long the puerto rican crack spread.

This has always been the case, the intraday sp might as well be a roulette wheel, no Tokyo drift component.

Agreed, I'm sure the tubes are a lot, but I think the project in general is supposed to be cost effective compared to some alternatives. For example, cost would be ~6B compared to ~60B for a train system California is currently evaluating.

Didn't you originally post 1671.50?